Robust optimal asset-liability management with penalization on ambiguity (Q2165793): Difference between revisions

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-Y. Yuan
@@ Property / author: Y. Yuan / rank @@
-Normal rank
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+Y. Yuan
@@ Property / author: Y. Yuan / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2021121
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@@ Property / OpenAlex ID @@
+W3179938288
@@ Property / OpenAlex ID: W3179938288 / rank @@
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@@ Property / cites work @@
+Asset and liability management under a continuous-time mean-variance optimization framework
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@@ Property / cites work @@
+Mean-variance asset-liability management: cointegrated assets and insurance liability
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+Robust optimal investment and reinsurance problem for a general insurance company under Heston model
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+Optimal investment decisions with a liability: the case of defined benefit pension plans
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+Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
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+Optimal portfolio on tracking the expected wealth process with liquidity constraints
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+Maximizing a robust goal-reaching probability with penalization on ambiguity
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+Risk minimizing portfolios and HJBI equations for stochastic differential games
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@@ Property / cites work @@
+Optimal investment strategy for asset-liability management under the Heston model
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+Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
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+Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
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+Robust investment-reinsurance optimization with multiscale stochastic volatility
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+Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
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+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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+Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
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+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
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+Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
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@@ links / mardi / name / links / mardi / name @@
+Publication:2165793